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| LRBUILD C# http://forum.alglib.net/viewtopic.php?f=2&t=404 |
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| Author: | cjsteury [ Mon Jul 25, 2011 10:26 pm ] |
| Post subject: | LRBUILD C# |
I see from prior posts that regression coefficient is not supported for LRbuild. Would this be the same as a Cointegration Coefficent? So the results that I need from a Regression are Cointegration Coefficient, Equilibrium value (Mean of two sample Regression) and R squared. Question: 1 Are these supported? 2 How do I use LRbuild to get to these values? Is there a pointer to a help page for an example? Thank you so much for your help and the great coding. Craig |
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| Author: | Sergey.Bochkanov [ Thu Jul 28, 2011 9:36 am ] |
| Post subject: | Re: LRBUILD C# |
1. Unfortunately, not. 2. It is impossible to do so in the present version. All this information is hidden deep in the solver and there is no way to use it without moving deep in the algorithm internals. |
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